Ramos, Henrique; Righi, Marcelo; Guedes, Pablo; … - 2022
of LP. However, using non-linear risk measures and including real features and frictions may pose a challenge. In this … paper, we solve the optimization problem of minimum portfolio risk for seven measures using linear programming under … cardinality constraints. The risk measures used are Expected Loss, Expected Loss Deviation, Expected Shortfall, Shortfall …